Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0369
Annualized Std Dev 0.3052
Annualized Sharpe (Rf=0%) 0.1210

Row

Daily Return Statistics

Close
Observations 5210.0000
NAs 1.0000
Minimum -0.1724
Quartile 1 -0.0070
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0080
Maximum 0.1710
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0192
Skewness 0.3415
Kurtosis 13.9162

Downside Risk

Close
Semi Deviation 0.0134
Gain Deviation 0.0154
Loss Deviation 0.0148
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0132
Downside Deviation (0%) 0.0132
Maximum Drawdown 0.8289
Historical VaR (95%) -0.0269
Historical ES (95%) -0.0452
Modified VaR (95%) -0.0240
Modified ES (95%) -0.0240
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2018-01-17 -0.8289 2747 515 2232
2020-02-20 2020-03-23 2021-01-07 -0.4432 224 23 201
2001-01-31 2002-10-09 2003-12-29 -0.3661 730 423 307
2018-01-29 2018-12-24 2019-10-28 -0.2575 441 229 212
2000-09-13 2000-10-12 2000-12-28 -0.1455 74 21 53

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA -2.4 0.6 0.1 -0.1 -0.9 -0.3 -1 -3.9
2001 0.4 0.1 1.9 0.2 0.1 -0.6 0.9 0.7 0.2 1.7 -0.4 0.1 5.4
2002 -0.4 1.2 -0.8 0.4 0.4 -1.7 -1.9 -0.2 4.1 1.8 -0.5 -0.7 1.5
2003 0.9 0.5 1.3 -0.3 1.6 1.1 -2.4 0.1 2.4 0.4 0.7 0.2 6.6
2004 0.7 0.7 0.8 -0.4 -0.6 -1 -0.2 -0.2 1.4 0.2 1.9 0 3.3
2005 1.3 1.2 -1.1 1.4 0.4 -0.1 0.4 0.3 -0.5 -0.9 0.7 -0.3 2.6
2006 -0.3 0.6 0.3 -1.6 1.3 -0.3 -0.1 0.2 -0.2 -1 -0.6 -0.8 -2.6
2007 0.6 -0.3 -0.3 0.4 0.4 -0.9 0.1 1.3 2.3 -5 3.1 0.6 2.1
2008 2.3 -4.4 7.8 4.5 -1 1.2 0.8 -0.3 3.5 4.9 -16.2 3.6 4.6
2009 -1.3 -5.8 2.9 -0.8 0.9 -0.6 0.6 -4.9 -4 -4.6 0 -0.1 -16.7
2010 1.4 0.1 0.9 -2.4 -2.1 -0.7 -0.2 4 1.1 -0.4 2.3 0.2 4.1
2011 2.3 -2 0.9 -0.2 -3.7 2.1 -0.1 -2.6 -3.8 -5.3 -0.7 -0.5 -13.2
2012 1.7 1.5 0.2 1.2 -4.2 2.7 -0.8 0.6 0.9 1.9 -0.3 1.4 7
2013 1.5 0.2 -0.8 -1.4 -1.6 0.7 1.9 -0.6 0.7 0.6 -0.2 0.5 1.4
2014 -1.5 0.4 0.5 -0.1 0.2 0.9 -1.2 0.4 -1.4 1.4 -1.1 -1.1 -2.7
2015 -1.2 -0.7 -0.3 0.5 0 1.2 -0.7 -4 0.3 -1.4 0.9 -0.9 -6.1
2016 -0.6 3.9 0.9 -0.8 0.4 -0.6 -0.6 -0.5 1.4 -0.4 1.4 0.3 4.9
2017 0.2 2.8 -0.8 0.6 1.2 -0.1 0.8 0.6 0.4 0.2 0 -0.6 5.3
2018 1.1 -1.6 1.8 0.1 1.3 -0.1 0.3 0.1 0.3 0.8 1 0.9 6.2
2019 0.7 0.7 2.4 -1 -1.5 1.1 -2 0.4 -2 1.5 -0.2 0.1 0
2020 -2.3 -1.9 -6.2 -3.3 1.2 -0.7 -0.4 0.2 0.9 -0.1 1.5 1.1 -9.9
2021 1.8 3.1 -1.7 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-21  81.4 SPY    148. -6.00e-4   0        0.0556  -0.015    0.111        NA       NA <NA>     NA    NA       NA
2 2000-06-22  81   SPY    146. -1.50e-2  -0.0171   0.0553  -0.0451   0.103        NA       NA <NA>     NA    NA       NA
3 2000-06-23  82.2 SPY    144. -8.60e-3  -0.0151   0.0294  -0.0598   0.0962       NA       NA <NA>     NA    NA       NA
4 2000-06-26  81.8 SPY    146.  1.29e-2  -0.015    0.0609  -0.0375   0.0969       NA       NA <NA>     NA    NA       NA
5 2000-06-27  82.7 SPY    145. -7.40e-3  -0.0188   0.0519  -0.0391   0.0787       NA       NA <NA>     NA    NA       NA
6 2000-06-28  82.1 SPY    146.  2.80e-3  -0.0154   0.0199  -0.0374   0.0625       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart